Let's take a look at James Wright first:
 His birth is estimated to have taken place between 1671 and 1676. James' place of birth has been given as Chester Co., PA or Lancashire, England.
Considering the fact that the Pennsylvania Colony and Chester County was not founded until 1681 and Chester County in 1682. Both had been part of New York until their formation. It is improbable that James was born in a jurisdiction that did not yet exist. A birth in England seems a better fit. Several sources, including numerous LDS Pedigree Resource Files, give his birthplace as Lancashire, England. Births are shown for 3 August 1671, August 1671, 1671, August 1676 and 1676. The father of James Wright has been shown as Thomas or John and his mother as Susannah Crowdson or Elizabeth Chittendon. (Elizabeth seems to have married a Thomas Wright from New England, so would be eliminated from consideration. )
Brothers William and James Wright settled in Dorchester Co., MD after arriving with Penn in 1682. James is a candidate for James Wright's father. Another candidate was a John Wright, who settled in what became Caroline Co., MD.
MacKenzie's Colonial Families of the United States suggests one of three brothers, Joshua, Thomas and Samuel Wright, as a father for James. The brothers settled in New Jersey in 1677.
Wright sons were named John, James, Thomas and Isaac. One was likely named for his grandfather.
 James married about 1706 - 1707 to Mary. No record of their marriage has been located. Eldest daughter Mary was born 3 January 1708. This would place her parents' marriage no later than March of 1707.
A marriage record for the Wright would answer all questions as to the identity of Mary.
 The rest of James Wright's life is well documented